Robeco QI Global Multi-Factor Credits ZBH GBP
Systematic portfolio of predominantly investment grade corporate bonds for long-term capital growth
Share classes
Share classes
Every share class of a product invests in the same portfolio of securities and has the same investment objectives and policies. However, their parameters might deviate. For instance and amongst others, their distribution type, currency exposure or fees and expenses might differ. The most common share classes at Robeco are:
a) D/DH shares, which are regular shares and available for all Investors;
b) I/IH shares, for institutional investors as defined from time to time by the Luxembourg supervisory authority.
For more information on share classes please go to the prospectus.
ZBH-GBP
CH-EUR
FH-EUR
IH-EUR
IH-GBP
IH-JPY
IH-USD
Class and codes
Asset class:
Bonds
ISIN:
LU2539431572
Bloomberg:
ROBMFCR LX
Index
Bloomberg Global Aggregate Corporates Index (hedged into GBP)
Sustainability-related information
Sustainability-related information
Under the EU Sustainable Finance Disclosure Regulation, products can be labelled as either Article 6, 8 or 9 fund.
Article 6 - The fund is not in scope of enhanced sustainability disclosures compared to Article 8 and 9.
Article 8 - The fund does not have a sustainable investment objective but promotes environmental or social characteristics and is subject to enhanced sustainability disclosures.
Article 9 - The fund has a sustainable investment objective and is subject to enhanced sustainability disclosures.
Regardless of Article 8 or 9, the companies in which investments are made must follow good governance practices, and sustainable investments must not do any significant harm.
Article 8
- Overview
- Performance & costs
- Portfolio
- Sustainability
- Commentary
- Documents
MISSING: fund.detail.tabs.
Key points
- Factor investing in investment grade corporate bonds
- Aiming to generate higher returns with a market-like risk profile
- For experienced investors looking for style-diversification in a balanced portfolio
About this fund
Robeco QI Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model. The fund's objective is to provide long-term capital growth. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (low risk factor), an attractive valuation (value), a strong performance trend (momentum) and a small market value of debt (size). The investment universe includes bonds with at least a BB rating.
Defining fair value in global credit markets
Key facts
Total size of fund
£ 983,690,549
Size of share class
£ 140,279,369
Inception date share class
18-10-2022
1-year performance
5.10%
Dividend paying
Yes
Fund manager
Patrick Houweling
Mark Whirdy
Johan Duyvesteyn
Patrick Houweling is Head of Quant Fixed Income and Lead Portfolio Manager of Robeco’s quantitative credit strategies. Patrick has published seminal articles on Duration Times Spread, factor investing in credit markets, corporate bond liquidity and credit default swaps in various academic journals, including the Journal of Banking and Finance, the Journal of Empirical Finance and the Financial Analysts Journal. The article 'Factor Investing in the Corporate Bond Market' he co-authored received a Graham and Dodd Scroll Award of Excellence for 2017. Patrick is a guest lecturer at several universities. Prior to joining Robeco in 2003, he was Researcher in the Risk Management department at Rabobank International where he started his career in 1998. He holds a PhD in Finance and a Master's (cum laude) in Financial Econometrics from Erasmus University Rotterdam. Mark Whirdy is Portfolio Manager Quant Fixed Income. His areas of expertise include portfolio optimization, credit markets, credit derivatives modelling and quant investment process development. Prior to joining Robeco, Mark was Portfolio Manager in the Quant Credit team at Pioneer Investments and Analyst in the Quantitative Equities team at that firm. He is a graduate from University College Dublin, and holds a Master’s in Business from University of Ulster. Johan Duyvesteyn is Portfolio Manager Quant Fixed Income. His areas of expertise include government bond market timing, credit beta market timing, country sustainability and emerging-market debt. He has published in the Financial Analysts Journal, the Journal of Empirical Finance, the Journal of Banking and Finance, and the Journal of Fixed Income. Johan started his career in the industry in 1999 at Robeco. He holds a PhD in Finance, a Master's in Financial Econometrics from Erasmus University Rotterdam and he is a CFA® charterholder.
Performance
Per period
Per annum
- Per period
- Per annum
1 month
1.31%
1.24%
3 months
0.13%
0.03%
YTD
0.13%
0.03%
1 year
5.10%
5.14%
Since inception 10/2022
8.12%
8.12%
2023
8.25%
8.02%
Statistics
Rating
The average credit quality of the securities in the portfolio. AAA, AA, A en BAA (Investment Grade) means lower risk and BB, B, CCC, CC, C (High Yield) higher risk.
A3/BAA1
A3/BAA1
Option Adjusted Modified Duration (years)
The interest rate sensitivity of the portfolio.
6.00
6.00
Maturity (years)
The average maturity of the securities in the portfolio.
8.50
8.60
Dividend paying history
27-03-2024
£ 1.45
21-12-2023
£ 1.17
27-09-2023
£ 1.17
23-06-2023
£ 1.18
Costs
Ongoing charges
Indication of annual charges that are deducted for this fund. This indication is based on the costs over the last calendar year and may vary from year to year. Transaction costs incurred by the fund, any performance fees and other one-off costs are not included in the ongoing charges.
0.02%
Included management fee
A fee paid by the fund to the asset management company for the professional management of the fund.
0.00%
Included service fee
This fee is intended to cover official fees, such as the cost of annual reports, annual shareholders' meetings and price publications.
0.00%
Transaction costs
The transaction costs shown are the average annual transaction costs over the last three years calculated in accordance with European regulations.
0.21%
Fiscal product treatment
The fund is established in Luxembourg and is subject to the Luxembourg tax laws and regulations. The fund is not liable to pay any corporation, income, dividend or capital gains tax in Luxembourg. The fund is subject to an annual subscription tax ('tax d'abonnement') in Luxembourg, which amounts to 0.05% of the net asset value of the fund. This tax is included in the net asset value of the fund. The fund can in principle use the Luxembourg treaty network to partially recover any withholding tax on its income.
Fiscal treatment of investor
The fiscal consequences of investing in this fund depend on the investor's personal situation. For private investors in the Netherlands real interest and dividend income or capital gains received on their investments are not relevant for tax purposes. Each year investors pay income tax on the value of their net assets as at 1 January if and inasmuch as such net assets exceed the investor’s tax-free allowance. Any amount invested in the fund forms part of the investor's net assets. Private investors who are resident outside the Netherlands will not be taxed in the Netherlands on their investments in the fund. However, such investors may be taxed in their country of residence on any income from an investment in this fund based on the applicable national fiscal laws. Other fiscal rules apply to legal entities or professional investors. We advise investors to consult their financial or tax adviser about the tax consequences of an investment in this fund in their specific circumstances before deciding to invest in the fund.
Fund allocation
Currency
Duration
Rating
Sector
- Currency
- Duration
- Rating
- Sector
Policies
Currency risks are hedged.
In principle, this share class of the fund will distribute an quarterly dividend.
Robeco QI Global Multi-Factor Credits is an actively managed fund that invests systematically in predominantly investment grade credits. The selection of these bonds is based on a quantitative model. The fund's objective is to provide long-term capital growth. The fund offers balanced exposure to a number of quantitative factors by focusing on bonds with a low level of expected risk (low risk factor), an attractive valuation (value), a strong performance trend (momentum) and a small market value of debt (size). The investment universe includes bonds with at least a BB rating. The fund promotes E&S (i.e. Environmental and Social) characteristics within the meaning of Article 8 of the European Sustainable Finance Disclosure Regulation, integrates sustainability risks in the investment process and applies Robeco’s Good Governance policy. The fund applies sustainability indicators, including but not limited to, normative, activity-based and region-based exclusions, and engagement. The majority of bonds selected will be components of the benchmark, but bonds outside the benchmark may be selected too. The fund can deviate from the weightings of the benchmark. The fund aims to outperform the benchmark over the long run, while still controlling relative risk through the application of limits (on currencies) to the extent of the deviation from the benchmark. This will consequently limit the deviation of the performance relative to the benchmark. The benchmark is a broad market-weighted index that is not consistent with the ESG characteristics promoted by the fund.
The fund will strive to create a risk profile, which is similar to the reference index. The duration and currency exposure of the portfolio will be hedged to the reference index. The strategy can have significant tracking error versus the reference index. The ratio of the portfolio volatility with respect to the volatility of the reference index is restricted by predefined guidelines. These guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.
Sustainability-related disclosures
Sustainability profile
ESG score target
Above Index
Footprint target
Below Index
ESG Important Information
The sustainability information below can help investors integrate sustainability considerations in their process. This information is for informational purposes only. The reported sustainability information may not at all be used in relation to binding elements for this fund. A decision to invest should take into account all characteristics or objectives of the fund as described in the prospectus.
Sustainability
The fund incorporates sustainability in the investment process via exclusions, ESG integration, ESG and environmental footprint targets, and engagement. The fund does not invest in issuers that are in breach of international norms or where activities have been deemed detrimental to society following Robeco's exclusion policy. Via portfolio construction rules the fund targets a better ESG score and lower carbon, water and waste footprints than that of the reference index. This ensures that credit issuers with better ESG scores or lower environmental footprints are more likely to be included in the portfolio, and vice versa. In addition, our credit analysts check buy candidates and portfolio holdings for ESG risks that may have material impact for bond holders. Lastly, where corporate issuers are flagged for breaching international standards in our ongoing monitoring, the issuer will become subject to engagement.The following sections display the ESG-metrics for this fund along with short descriptions. For more information please visit the sustainability-related disclosures.The index used for all sustainability visuals is based on Bloomberg Global Aggregate Corporates Index (hedged into GBP).
Market development
The Bloomberg Global Aggregate Corporates Index posted a positive credit return of 0.51% as credit spreads tightened from 106 to 100 bps. The euro-hedged total return was 1.15%, as underlying government bond yields decreased. Investment grade credit markets extended the rally into March. U.S. consumer spending and wage growth remained strong. Also, inflation expectations were benign, notwithstanding goods and services inflation remaining quite sticky. Fed rate cut guidance remained constructive and government bond yields decreased. The World Bank reported global composite PMI rising for the fourth consecutive month. Successive equity market all-time-highs were again reached in March. This 'Goldilocks' backdrop fed demand for credit and primary corporate bond market issuance to remain robust. Geopolitical tensions remained high, as the Kremlin blamed a terrorist attack in Moscow on Ukraine and the West. Cessation negotiations in Israel continued to flounder amid escalation in operations in southern Gaza.
Performance explanation
Based on transaction prices, the fund's return was 1.31%. Based on closing prices, the fund posted a relative return of +0.12% versus the benchmark. Issue(r) selection delivered a positive contribution and beta allocation slightly detracted. The value factor made a positive contribution. The largest detractor was the low-risk/quality factor, driven by both the defensive company selection and the underweight in longer-dated bonds; the size factor also detracted slightly. The momentum factor contributed neutrally. Sector allocation delivered a small positive contribution, mainly due to the overweight in the technology sector and the underweight in the electric utility sector. Currency allocation contributed slightly positively, primarily due to the underweight in CAD denominated paper. Country allocation also contributed slightly positively, mainly due to the underweight in Canada. The allocation to subordination groups slightly detracted, due to the underweight in senior financials. Rating allocation slightly detracted too, due to the off-benchmark position in BAs. The SDG score and ESG Risk Rating allocations both contributed slightly positively.
Expectation of fund manager
Patrick Houweling
Mark Whirdy
Johan Duyvesteyn
Robeco QI Global Multi-Factor Credits invests systematically in predominantly investment grade credits. It offers balanced exposure to a number of quantitative factors. In the long term, we expect the fund to outperform the market by systematically harvesting factor premiums with a risk profile that is similar to the reference index.